Fellow's opinion: econometrics, data, and the World Wide Web

Article Abstract:

The information explosion brought about by the launching of the World Wide Web has significant implications to the field of econometrics. Applied econometricians must support Congress' efforts at altering data production and supply procedures to ensure good government data quality. Similarly, they must also support private competition with government in the production and distribution of aggregated national economic data as this also results in high-quality data availability. The Web is currently used widely in producing and distributing these data.

Telegraph & other communications, Specialized Telecom Services, Wired Telecommunications Carriers, Usage, Internet services, Information management, World Wide Web

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Testing for ARCH in the presence of a possibly misspecified conditional mean

Article Abstract:

A study was conducted on the Autoregressive Conditional Heteroskedasticity (ARCH) model in a misspecified conditional mean regression using the Monte Carlo simulations. Results showed that the inability to account for conditional mean misspecification which include the omission of variables, changes in structure and instability in parameters in testing for ARCH, caused the null hypothesis to be overrejected in conditional homoskedasticity.

Monte Carlo method, Monte Carlo methods, Regression analysis, Instrumental variables (Statistics), Instrumental variables

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Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable

Article Abstract:

The fixed-effects panel version of the linear transformation model with dependent variable h(Yt), has been studied using the semiparametric leapfrog estimator. Results showed that series estimation of h via polynomial and spline approximations was found to be more effective in estimating the transformation function h. The leapfrog estimator cause variability in h over a given period of time across various observational units.

Mathematical models, Parameter estimation, Transformations (Mathematics)

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